The Markov-Switching Multifractal Model of Asset Returns
资产收益的马尔可夫切换多重分形模型
Multifractal processes have recently been proposed as a new formalism for modeling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns—a feature that has been found in virtually all financial data. Initial difficulties stemming from nonstationarity and the combinatorial nature of the original model have been overcome by the introduction of an iterative…